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On stochastic independence under ambiguity

Federica Ceron () and Vassili Vergopoulos ()
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Federica Ceron: University of Paris 1 Panthéon-Sorbonne
Vassili Vergopoulos: University of Paris 1 Panthéon-Sorbonne

Economic Theory, 2021, vol. 71, issue 3, No 5, 925-960

Abstract: Abstract We provide behavioral characterizations of notions of stochastic independence between two sources of uncertainty for agents with ambiguity-sensitive preferences. These notions, inspired from the literature on imprecise probabilities, include the independent product of two sets of marginal beliefs proposed by Gilboa and Schmeidler (J Math Econ 18(2): 141–153, 1989) in their seminal paper. Our analysis draws a clear relationship between the property of dynamic consistency of preferences and some form of stochastic independence between the relevant events.

Keywords: Stochastic independence; Ambiguity; MaxMin expected utility; Bewley expected utility; Imprecise probability (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s00199-020-01267-z

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